I tried to search the forums for this information, but I simply failed - just call me BigDumDum.
I am currently building a strategy. I am back-testing this strategy for Crude Oil futures (CL). However, since CL had a contract rollover in August, my back-test gets all jumbled up.
Would someone please give me advice in the best way to run market replay when a contract has a rollover?
Am I supposed to download both contracts? Is there some way to "merge" them so I can just fast forward through it if I must download both?
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